The short answer that seems to be going around is that Volsung can be found at the end of the “Volskygge Dungeon” in Haarfingar, but he is actually out in the open.

If you like, you can start by clearing out Volskygge of bandits and Draugar and at the very end you’ll exit a door that puts you in front of a word wall where you learn a new dragon shout (a couple hours after entering the dungeon). But you CAN go straight to the wall, learn the word, defeat the undead priest, grab the loot including the Volsung Dragon Priest Mask, and be on your way. Here’s the location in the mountains far West in the North West of Skyrim, near the West boundry of Skyrim right by Pinefrost Tower shown by the White current location marker in this screen shot:

In the screen shot I’m on top of a mountain staring at the Word Wall.

I have the mask and use it constantly, it’s awesome… It is a lot better than the Thieves’ guild cowl that has +10% to prices I used to switch to from an Elven helmet. Volsung also grants its user +20 Carry Weight and Waterbreathing. Thanks to Volsung I can carry more (important to me) and I no longer regret not choosing an Argonian when standing in front of open ocean…